求解07-118，134题

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118：suppose a portfolio of two assets is constructed by optimizing the risk-reward tradeoff .asset 1 has an expected return of 12% and its risk contribution is 3.86% .asset 2 has an expected return of 10% and its contribution is 7.5% .what is the portfolio weight of asset 1 ?
A:   34%
B:   42.9%
C：30%
D:   70%


答案为C.也没有计算过程，不知道怎么算出来的。谢谢高人解答。



134: You have a large position of bonds of firm XYZ ,you hedge these bonds with equity using merton’s debt valuation model .the value of the debt falls unexpectedly ,but the value of equity does not fall ,so you make a loss .consider the following statements:
I
interest rates increased
Ii
volatility fell
Iii
volatility increased
Iv
a liquidity crisis increased the liquidity component of the credit spreads
Which statements are possible explanations for why your hedge did not work out ?

B.I and iii only
C.I  iii and Iv only  


答案选B，我选的是C，我觉得第四项应该也是对的啊？

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关键词：Contribution explanations Explanation constructed Volatility Risk hedge Contribution

134题 好像公式里没有 credit spread
还是选B吧

118题 答案为D啊 其实没必要算 明显asset 1 的风险收益比较好嘛 当然要配置的多了
我也不知道是怎么算的 我没有看 notes 也许那上面有

英文的啊？？看不懂哦

118题目选D

118题我也不知道正确的计算过程是怎么样的，但是优化配置资产的条件是边际收益相等，我算出来是1占75%